Articlebronze2003

Numerical error for SDE: Asymptotic expansion and hyperdistributions

20 citations0/0 files storedComptes Rendus Mathématique

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Stochastic processes and financial applications Numerical methods for differential equations Mathematical and Theoretical Analysis

Abstract

The principal part of the error in the Euler scheme for an SDE with smooth coefficients can be expressed as a generalized Watanabe distribution on Wiener space.

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1996The law of the Euler scheme for stochastic differential equations 1987Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels 2000Weak approximation of killed diffusion using Euler schemes 1997Weak rate of convergence for an Euler scheme of nonlinear SDE’s 2003Analysis of Error with Malliavin Calculus: Application to Hedging

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